Methods, apparatus, and systems for processing data transactions

ABSTRACT

Methods, apparatus, and systems for processing data transactions use a sequencer communicating with a plurality of data processors and provide improved performance and lower latency.

This application is a continuation of U.S. patent application Ser. No.16/375,955, filed Apr. 5, 2019, which is a continuation of U.S. patentapplication Ser. No. 13/447,463, filed Apr. 16, 2012 (now U.S. Pat. No.10,262,365), the entire contents of each of which are herebyincorporated by reference in this application.

TECHNICAL FIELD

Embodiments of the present invention presented herein generally relateto a method and a computerized exchange system for processing orders.

BACKGROUND

When trading shares and/or other financial instruments in a computerizedexchange, the computerized exchange is generally configured to receivetrade orders to create a trade. For instance, the computerized exchangeis generally configured to receive bid orders and ask orders and matchthe bid orders and the ask orders to create a trade. Depending on theconditions associated with the trade, the processes of matching bid andask orders can sometimes be complex.

Current computerized exchanges normally comprise a central matchingengine, typically residing within a central server, and a plurality ofgateways, or distributed servers. In such computerized exchange, thetypical process can be as follows: order entry messages are received bythe computerized exchange, e.g. bid orders and/or ask orders, sent fromclient devices, e.g. trader terminals, are received via the gateways atthe central server. The computerized exchange processes the order entrymessages. This processing in the computerized exchange, e.g. centralserver, may include, among other things, performing order matching basedon the received order entry messages. The order processingacknowledgement output from the central server is then typicallyreturned to the client devices via the gateway that forwarded thetransaction. The gateway may be required to perform additionalprocessing before the acknowledgement data is returned to the clientdevice. The central server will also disseminate the information fromthe order message, either in the same form as received or otherwise, tothe multiple gateways which perform processing of the order entryinformation to generate market data output. The market data output istypically forwarded to all client devices through a variety ofcommunication mechanisms, requiring additional processing in thegateways.

This means that a single order entry message firstly requires processingin the central server and then requires reprocessing many times over andin parallel across the various gateway servers.

SUMMARY

In view of the above, an improved method and computerized exchangesystem would be advantageous and, in particular, a method andcomputerized exchange system allowing for lower latency and/or improvedthroughput.

It is therefore a general object of some embodiments of the presentinvention to provide for an improved method for processing trade orders,which method provides for lower latency and/or higher throughput.

According to an aspect, there is provided a method for processing tradeorders. The method is performed by a computerized exchange system. Themethod comprises: receiving at least one order entry message at at leastone of a plurality of order book engines; sending the at least one orderentry message from the at least one order book engine to a sequencer;receiving, at the sequencer, the at least one order entry message fromthe at least one order book engine; sequencing, in the sequencer, thereceived at least one order entry message by assigning status data and asequence number to the order entry message for thereby putting incomingorder entry messages assigned with different status data in a sequencedorder; sending, from the sequencer, the at least one order entry messagein a sequenced order to the plurality of order book engines; receiving,at the plurality of order book engines, the at least one order entrymessage; and processing in substantially parallel, in the plurality oforder book engines, the at least one order entry message.

In this method, there is no central server performing many operations orperforming relatively demanding operations such as performing ordermatching based on incoming order entry messages. Instead, a sequencer isused for performing comparatively less demanding operations, such asonly the sequencing of received order entry messages by assigning statusand sequence number data to the order entry messages and sending theorder entry messages in a sequenced order to the plurality of order bookengines. The sequencer does not perform as many or any demandingoperations that are generally performed by the central server in thecurrent computer exchange systems described in the background. Comparedto the computerized exchange system described in the background, thesequencer in this method therefore allows for a lower latency because ofreduced processing time in the sequencer compared to the comparativelylonger processing time in the previous central server.

Furthermore, in this method the processing of order entry messages isonly done in the plurality of order book engines. Compared to thecomputerized exchange system described in the background, the processingof the order entry message information is not repeated in both a centralserver and, subsequently, in various gateways. (E.g. the data sent fromthe central server may in many cases be in a different payload but itwill essentially be the order entry information, if not the same messagein shape and content.) Rather, the processing of the order entry messageinformation is performed only in the plurality of order book engines.Since the processing of order entry messages is not duplicated, thelatency can be reduced. Also, this may allow for higher throughput.

Since the order entry messages are received in a sequenced order (e.g.time stamped) at the plurality of order book engines, the processing ofthe order entry messages is performed in substantially parallel by themultiple order book engines.

In one embodiment, the processing of the at least one order entrymessage is performed in all order book engines of the plurality of orderbook engines.

The processing in substantially parallel in the plurality of order bookengines may comprise processing essentially the same at least one orderentry message in all of the plurality of order book engines atessentially the same time and with the same logic. This way, all orderbook engines process the same data. In other words, the computationaloperations in the respective order book engines are based on the same oressentially the same data and with the same processing logic.

In one embodiment, each of the plurality of order book engines performsadditional tasks that are specific to the individual order book engine.In this way, rather than performing all additional tasks in all of theorder book engines, each order book engine is individually configured toperform a specific and smaller subset of tasks. For example, one orderbook engine may process the order entry message to create ordermanagement information for outputting to a corresponding client device.Additionally, or alternatively, another order book engine of theplurality of order book engines may process the order entry message tocreate market data for outputting to a corresponding client device. Inone embodiment, the at least one order entry message relates to an orderhaving a hidden volume and at least one of the order book enginesprocesses the at least one order entry message relating to an orderhaving a hidden volume. By having several order book engines, each ofwhich is specifically designed for performing only specific tasks it ispossible to reduce the number of computational operations in each of theorder book engines. This allows for avoiding unnecessary data processingoverhead. Further, this allows for improved overall performance of thecomputerized exchange system, e.g. in terms of lower latency and/orhigher throughput.

In one embodiment, the step of receiving at least one order entrymessage at one of a plurality order book engines comprises receiving theat least one order entry message from a client device associated withsaid one of the plurality of order book engines.

In one embodiment, assigning status data comprises assigning a timestamp and a sequence number to the at least one order entry message.

In one embodiment, sequencing the received at least one order entrymessage comprises recording the at least one order entry message.

It is also a general object of some embodiments of the present inventionto provide for an improved computerized exchange system for processingtrade orders, which computerized exchange system provides for lowerlatency and/or higher throughput

According to a second aspect, there is provided a computerized exchangesystem for processing trade orders. The computerized exchange systemcomprises a sequencer and a plurality of order book engines. Thesequencer comprises: a communication interface; a processor; and amemory storing a computer program comprising computer program codewhich, when run on the processor of the sequencer, causes the sequencerto: receive, via the communication interface, at least one order entrymessage from at least one of a plurality of order book engines; sequencethe received at least one order entry message by assigning status datato the order entry message for thereby putting incoming order entrymessages assigned with different status data in a sequenced order;

and sending, via the communication interface, the at least one orderentry message to the plurality of order book engines. Each of theplurality of order book engines comprises: a communication interface; aprocessor; and a memory storing a computer program comprising computerprogram code which, when run on the processor of the order book engine,causes the order book engine to: receive, via the communicationinterface, the at least one order entry message from the sequencer; andprocess the at least one order entry message in substantially parallelwith the other order book engines of the plurality of order bookengines.

The plurality of order book engines may be configured to processessentially the same at least one order entry message in all of theplurality of order book engines at essentially the same time.

In one embodiment, at least one of the plurality of order book enginescomprises a memory storing a computer program comprising computerprogram code which, when run on the processor of the at least one orderbook engine, causes the at least one order book engine to: receive, viathe communication interface, at least one order entry message from aclient device associated with the at least one order book engine; andsend, via the communication interface, the at least one order entrymessage from the at least one order book engine to the sequencer.

In one embodiment, each of the plurality of order book engines isconfigured to perform a task that is specific to the individual orderbook engine. For example, at least one order book engine may beconfigured to process the order entry message to create order managementdata for outputting to a corresponding client device. At least one orderbook engine may be configured to process the order entry message tocreate market data for outputting to a corresponding client device. Inone embodiment, the at least one order entry message relates to an orderhaving a hidden volume and at least one of the order book engines isconfigured to process the at least one order entry message relating toan order having a hidden volume.

In one embodiment, the memory storing a computer program comprisingcomputer program code which, when run on the processor of the sequencer,further comprises: computer program code which, when run on theprocessor of the sequencer, causes the sequencer to assign a time stampand a sequence number to the at least one order entry message.

In one embodiment, the memory storing a computer program comprisingcomputer program code which, when run on the processor of the sequencer,further comprises: computer program code which, when run on theprocessor of the sequencer, causes the sequencer to record the at leastone order entry message.

The computerized exchange system according to various embodiments of thesecond aspect provides for one or more of the advantages and/or effectsmentioned with respect to the first aspect.

BRIEF DESCRIPTION OF THE DRAWINGS

These and other aspects, features and advantages of the invention willbe apparent and elucidated from the following description of embodimentsof the present invention, reference being made to the accompanyingdrawings, in which:

FIG. 1 is a schematic diagram illustrating a computerized exchangesystem according to an exemplary embodiment of the invention;

FIG. 2 is a schematic diagram illustrating some modules of an embodimentof a sequencer illustrated in FIG. 1;

FIG. 3 is a schematic diagram illustrating some modules of an embodimentof an order book engine illustrated in FIG. 1; and

FIG. 4 is flow chart illustrating a method according to an embodiment ofthe invention.

DETAILED DESCRIPTION

The invention will now be described more fully hereinafter withreference to the accompanying drawings, in which certain embodiments ofthe invention are shown. The invention may, however, be embodied in manydifferent forms and should not be construed as limited to theembodiments set forth herein; rather, these embodiments are provided byway of example so that this disclosure will be thorough and complete,and will fully convey the scope of invention to those persons skilled inthe art. Like numbers refer to like elements throughout the description.

An example trading environment is illustrated in FIG. 1. With referenceto FIG. 1, an example embodiment of a computerized, or automated,exchange 100 according to embodiments of the invention is discussed.

A number of clients 110 or client devices herein denoted client 110 a,client 110 b, and client 110 c are operable to communicate with theexchange 100. Thus, traders or market participants can participate onthe market by means of the clients 110 a-c communicating with thecomputerized exchange 100 e.g. via a communication network. Moreparticularly, the client devices 110 a-c are operable to communicatewith order book engines (also known as matching engines) 120 a-c. In thedisclosed embodiment, client device 110 a can communicate with orderbook engine 120 a, client device 110 b can communicate with order bookengine 120 b and so forth. The clients 110 a-c may connect to itsrespective order book engine in any known manner, such as via high speeddata lines, high speed communication servers or via the Internet tomention only a few examples. Data lines, e.g. high speed data lines, mayestablish direct connection between the client 110 a-c and therespective order book engines 120 a-c. Connection can, additionally oralternatively, be established between the client 110 a-c and the orderbook engines 120 a-c by configuring networks, e.g. high speed networks,or communication servers at strategic access points in locations wheretraders are physically located. The Internet is a third communicationsmeans enabling traders using clients 110 a-c using data connectionsconnected to the Internet. Consequently, traders can be located anywhereand at any time establish a connection with the computerized exchangesystem 100.

As is illustrated in FIG. 1, the computerized exchange 100 comprises asequencer 130, or central sequencer, and a plurality of order bookengines 120 a-c. The plurality of order book engines 120 a-c may bemirrors of each other in terms of hardware and/or software. The orderbook engines 120 a-c are configured to maintain order books. An orderbook can be maintained in any known manner and how order books aremaintained will therefore not be further explained here. In contrast tocurrent computerized exchanges described in the background, theexemplary computerized exchange 100 illustrated in FIG. 1 comprises nocentral server having a central order book. Instead, the order books aredistributed such that each of the several order book engines maintainstheir respective order books. Also in contrast to current computerizedexchanges, the illustrated computerized exchange 100 comprises nocentral server performing the many different operations as is done incurrent exchanges described in the background section. Rather, theexemplary computerized exchange of FIG. 100 comprises a sequencer, whichperforms considerably fewer operations compared to the previous centralserver. In particular, and as will be further detailed herein, thesequencer 130 is configured to receive order entry messages from anorder book engine, sequence the received order entry messages, e.g. byassigning status data to the order entry messages, for thereby puttingincoming order entry messages assigned with different status data in asequenced order, and subsequently sending the order entry messages tothe plurality of order book engines.

With reference to FIG. 1, an exemplary trading process will bedescribed. An order entry message, e.g. in the form of a bid order or anask order, is sent from a client device, e.g. client device 110 c, to anorder book engine 120 c. The order book engine 120 c receives 210 theorder entry message(s) and forwards 211, i.e. sends, the order entrymessage(s) to the sequencer 130. The sequencer 130 then receives 212 theforwarded order entry message(s). Subsequently, the sequencer 130sequences 213 the received order entry message(s) by assigning statusdata, e.g. by assigning a time stamp, to the order entry message(s) forthereby putting incoming order entry messages assigned with differentstatus data in a sequenced order. The sequencer may also record incomingorder entry messages. Thereafter, the sequencer 130 broadcasts 214, i.e.sends, order entry messages in a sequenced order to the plurality orderbook engines 120 a-c. The order book engines 120 a-c thereafter receives215 the order entry messages from the sequencer 130 in parallel and atsubstantially the same time. Upon receiving the order entry messages inthe sequenced order from the sequencer 130, the plurality of order bookengines processes 216 the order entry messages in substantiallyparallel. By introducing a sequencer 130, or a central sequencer, andutilizing parallel processing of order entry messages in a plurality oforder book engines 120 a-c it is possible to reduce the number ofprocessing steps in the transaction round-trip compared to currentcomputerized exchange systems described in the background. Thereby, thelatency can be decreased.

The processing in substantially parallel in the plurality of order bookengines 120 a-c may comprise processing essentially the same order entrymessages in all of the plurality of order book engines 120 a-c atessentially the same time. This way, all order book engines 120 a-c canprocess the same or essentially the same data. In other words, thecomputational operations in the respective order book engines 120 a-care based on the same or essentially the same data.

In one embodiment, each of the plurality of order book engines performsa task that is specific to the individual order book engine 120 a-c. Inthis way, rather than performing many different tasks in each of theorder book engines 120 a-c, each order book engine may be individuallyconfigured to perform only one task (or only a few tasks). For example,one order book engine 120 a may process order entry messages to createorder management data (for example, according to the OUCH protocol) foroutputting to a corresponding client device 110 a. Another order bookengine 120 b may process order entry messages to create market data(e.g. according to the ITCH protocol) for outputting to a correspondingclient device. Yet another order book engine may be specially designedfor processing order entry messages of a type having a hidden volume, asdescribed in the U.S. Pat. No. 6,983,260. By having several order bookengines, each of which is specifically designed for performing specifictasks it is possible to reduce the number of computational operations ineach of the order book engines 120 a-c. This allows for avoidingunnecessary data processing overhead. Further, this allows for improvedoverall performance of the computerized exchange system, e.g. in termsof lower latency and/or higher throughput.

FIG. 2 is a schematic diagram illustrating some modules of an embodimentof the sequencer 130 illustrated in FIG. 1. A processor 131 is providedusing any suitable central processing unit (CPU), microcontroller,digital signal processor (DSP), etc., capable of executing computerprogram comprising computer program code, the computer program beingstored in a memory 132. The memory 132 can be any combination of readand write memory (RAM) and read only memory (ROM). The memory may alsocomprise persistent storage, which, for example, can be any single oneor combination of magnetic memory, optical memory, or solid state memoryor even remotely mounted memory. The sequencer 130 further comprises acommunication interface 133 arranged for communication with the orderbook engines 133 and, optionally, additional devices. For example, thesequencer 133 may be arranged for communication using the known UserDatagram Protocol (UDP). With UDP, the sequencer 131 can send (andreceive) messages, sometimes referred to as datagrams, to other deviceson an Internet Protocol (IP) network without requiring priorcommunications to set up special transmission channels or data paths.UDP uses a simple transmission model without implicit handshakingdialogues for providing reliability, ordering, or data integrity.

The sequencer 131 is arranged to receive order entry messages via itscommunication interface 133 from order book engines. Furthermore, thesequencer 131 is arranged to send, via its communication interface 133,order entry messages that have been sequenced by means of the sequencer131 to order book engines.

In one embodiment, when the above-mentioned stored computer program codeis run in the processor 131, this causes the sequencer 131 to receive,via its communication interface 133, one or more order entry messagesfrom at least one of the plurality of order book engines; sequence thereceived order entry message(s) by assigning status data, e.g. assigninga time stamp, to the order entry message(s) for thereby putting incomingorder entry messages assigned with different status data in a sequencedorder; and sending, via the communication interface 133, the order entrymessage(s) to the plurality of order book engines in a sequenced order.Optionally, the sequencing also comprises recording the order entrymessage(s), e.g. in memory 132.

FIG. 3 is a schematic diagram illustrating some modules of an embodimentof one of the order book engines 120 a-c illustrated in FIG. 1. Thedifferent order book engines 120 a-c may be mirrors of each other interms of hardware and/or software and so the various order book engines120 a-c comprise the same or essentially the same or similar components.A processor 121 is provided using any suitable central processing unit(CPU), microcontroller, digital signal processor (DSP), etc., capable ofexecuting computer program comprising computer program code, thecomputer program being stored in a memory 122. The memory 122 can be anycombination of read and write memory (RAM) and read only memory (ROM).The memory may also comprise persistent storage, which, for example, canbe any single one or combination of magnetic memory, optical memory, orsolid state memory or even remotely mounted memory. The order bookengine 120 further comprises a communication interface 123 arranged forcommunication with the sequencer 130. Also, the communication interfacemay be arranged for communication with respective client devicesassociated with the order book engine in question. For example, theorder book engine 120 may be arranged for communication using the knownUser Datagram Protocol (UDP). With UDP, the order book engine 121 canreceive (and/or send) messages, sometimes referred to as datagrams, toother devices on an Internet Protocol (IP) network without requiringprior communications to set up special transmission channels or datapaths.

In one embodiment, when the above-mentioned stored computer program codeis run in the processor 121, this causes the order book engine 121 toreceive, via the communication interface 123, one or more order entrymessage(s) from the sequencer 130; and process order entry message(s) insubstantially parallel with the other order book engines of theplurality of order book engines.

In some embodiments, the several order book engines 120 a-c illustratedin FIG. 1 are configured to process essentially the same order entrymessage(s) in all of the plurality of order book engines 120 a-c atessentially the same time.

At least one of the plurality of order book engines shown in FIG. 1additionally comprises a memory 122 storing a computer programcomprising computer program code which, when run on the processor ofthis order book engine, causes this order book engine to: receive, viathe communication interface 123, an order entry message(s) from a clientdevice associated with this order book engine; and send, via thecommunication interface 123, the order entry message(s) from this orderbook engine to the sequencer 130.

Each order book engine 120 is configured to perform a task that isspecific to the individual order book engine 120. In this way, ratherthan performing many different tasks in each of the order book engines120 a-c, each order book engine may be individually configured toperform only one task (or, at least only very few tasks). For example,one order book engine 120 a may be specially configured to process orderentry messages to create order management data (for example, accordingto the OUCH protocol) for outputting to a corresponding client device110 a. Another order book engine 120 b may be particularly configured toprocess order entry messages to create market data (e.g. according tothe ITCH protocol) for outputting to a corresponding client device. Yetanother order book engine may be specially designed for processing orderentry messages of a type having a hidden volume, as described in theU.S. Pat. No. 6,983,260. By having several order book engines, each ofwhich is specifically designed for performing specific tasks it ispossible to reduce the number of computational operations in each of theorder book engines 120 a-c.

FIG. 4 is a flow chart illustrating a method according to one embodimentexecuted in a computerized exchange system. The method illustrated inFIG. 2 allows for one or more of the advantages and/or effects mentionedwith respect to the computerized exchange system 100 described inconnection with FIGS. 1, 2 and 3. In an initial step 410, an order bookengine receives an order entry message. The order book engine mayreceive the order entry message from a client device associated with theplurality of order book engines, e.g. a client device denoted 110 cwhich is associated with order book engine 120 c. Next, the order bookengine forwards, i.e. sends, the order entry message to a sequencer in astep 411. In the subsequent step 412, the sequencer receives theforwarded order entry message. The sequencer then sequences the orderentry message in step 413. This is done by assigning status data to theorder entry message for thereby putting incoming order entry messagesassigned with different status data in a sequenced order. For example,assigning status data to the order entry message may comprise assigninga time stamp to the order entry message. Additionally, or alternatively,the sequencing may comprise recording the order entry message. After thestep 413 of sequencing, the sequencer broadcasts, i.e. sends, the orderentry message to the plurality of order book engines in step 414. Sinceincoming order entry messages are assigned with status data, e.g. in theform of time stamps, these can be sent to the order book engines in asequenced order. Or, alternatively, the order book engines can putincoming order entry messages in the correct, or proper, order independence of the assigned status data. In step 415, the order entrymessage is received by the plurality of order book engines, preferablybut not necessarily by all order book engines. In a final step 416, theorder entry message(s) is/are processed in substantially parallel in theplurality of order book engines. In step 416, all order book engines mayprocess essentially the same order entry message(s) at essentially thesame time.

Also when implementing the method illustrated in FIG. 4, each of theplurality of order book engines may perform certain tasks that arespecific to the individual order book engines as described hereinabovewith respect to FIGS. 1, 2 and 3, respectively.

Various embodiments of the invention described hereinabove allow forreduced latency and/or higher throughput. Some embodiments can allow fora reduction in latency from 800 ms to 40 ms compared to the currentexchange systems described in the background section. This is aconsiderable improvement for computerized exchange systems. Thus,various embodiments of the present invention meet the continuous demandfrom traders and others for lower latency and better performance ofcomputerized exchange systems.

Although the present invention has been described above with referenceto specific embodiments, it is not intended to be limited to thespecific form set forth herein. Rather, the invention is limited only bythe accompanying claims and, other embodiments that the specific aboveare equally possible within the scope of the appended claims. Also, whenused herein the term “comprise/comprises” does not exclude the presenceof other elements or steps. Furthermore, although individual featuresmay be included in different claims, these may possibly advantageouslybe combined, and the inclusion of different claims does not imply that acombination of features is not feasible and/or advantageous. Inaddition, singular references do not exclude a plurality.

1. A method for processing orders, the method being performed by acomputerized exchange and comprising: receiving at least one order entrymessage at at least one of a plurality of order book engines; sendingthe at least one order entry message from the at least one order bookengine to a sequencer; receiving, at the sequencer, the at least oneorder entry message from the at least one order book engine; sequencing,in the sequencer, the received at least one order entry message byassigning status data to the order entry message for thereby puttingincoming order entry messages assigned with different status data in asequenced order; sending, from the sequencer, the at least one orderentry message in a sequenced order to the plurality of order bookengines; receiving, at the plurality of order book engines, the at leastone order entry message; and processing in substantially parallel, inthe plurality of order book engines, the at least one order entrymessage.